Modeling and Empirical Analysis of Option Pricing with Transaction Costs: ASub-Mixed Fractional Brownian Motion Approach

	Modeling and Empirical Analysis of Option Pricing with Transaction Costs: ASub-Mixed Fractional Brownian Motion Approach
	Cheng, Zhiyong1 ; Mao, Xiaoli 2; Ma, Aiqin 3
	2024
发表期刊	JOURNAL OF DERIVATIVES
卷号	32 期号:2 页码:56-71
摘要	This article discusses the issue of option pricing in a continuous-time framework with transaction costs. Using the replication strategy that depends on the percentage of transaction costs and the revision interval, the authors develop a closed-form option pricing formula for European call options whose underlying asset price follows a sub-mixed fractional Brownian motion, which can better describe the characteristics of leptokurtosis, fat-tail, and long memory of the underlying asset. In- and out-of-sample empirical analyses on Shanghai Stock Exchange 50 ETF options illustrate the efficiency and accuracy of the sub-mixed fractional Brownian motion model and highlight the importance of including transaction costs in option pricing.
收录类别	SSCI
ISSN	1074-1240
语种	英语
WOS研究方向	Business & Economics
WOS类目	Business, Finance
WOS记录号	WOS:001390138900005
出版者	PAGEANT MEDIA LTD
原始文献类型	Article
EISSN	2168-8524
引用统计	被引频次[WOS]：0 [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/38804
专题	统计与数据科学学院
通讯作者	Cheng, Zhiyong
作者单位	1.Northwest Normal Univ, Coll Econ, Lanzhou, Peoples R China; 2.Guangdong Univ Finance, Sch Finance & Investment, Guangzhou, Peoples R China; 3.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou, Peoples R China
推荐引用方式 GB/T 7714	Cheng, Zhiyong,Mao, Xiaoli,Ma, Aiqin. Modeling and Empirical Analysis of Option Pricing with Transaction Costs: ASub-Mixed Fractional Brownian Motion Approach[J]. JOURNAL OF DERIVATIVES,2024,32(2):56-71.
APA	Cheng, Zhiyong,Mao, Xiaoli,&Ma, Aiqin.(2024).Modeling and Empirical Analysis of Option Pricing with Transaction Costs: ASub-Mixed Fractional Brownian Motion Approach.JOURNAL OF DERIVATIVES,32(2),56-71.
MLA	Cheng, Zhiyong,et al."Modeling and Empirical Analysis of Option Pricing with Transaction Costs: ASub-Mixed Fractional Brownian Motion Approach".JOURNAL OF DERIVATIVES 32.2(2024):56-71.